Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0566
Annualized Std Dev 0.5959
Annualized Sharpe (Rf=0%) -0.0950

Row

Daily Return Statistics

Close
Observations 3549.0000
NAs 1.0000
Minimum -0.3113
Quartile 1 -0.0122
Median 0.0015
Arithmetic Mean 0.0005
Geometric Mean -0.0002
Quartile 3 0.0143
Maximum 0.2714
SE Mean 0.0006
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0017
Variance 0.0014
Stdev 0.0375
Skewness -0.1187
Kurtosis 11.8686

Downside Risk

Close
Semi Deviation 0.0269
Gain Deviation 0.0290
Loss Deviation 0.0310
Downside Deviation (MAR=210%) 0.0306
Downside Deviation (Rf=0%) 0.0267
Downside Deviation (0%) 0.0267
Maximum Drawdown 0.9797
Historical VaR (95%) -0.0535
Historical ES (95%) -0.0929
Modified VaR (95%) -0.0535
Modified ES (95%) -0.0670
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 NA -0.9797 3541 510 NA
2007-02-09 2007-02-13 2007-02-14 -0.0264 3 2 1
2007-02-05 2007-02-05 2007-02-06 -0.0061 2 1 1
2007-02-15 2007-02-15 2007-02-20 -0.0015 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -1 0 -0.1 1.1 -2.3 0.8 2.8 3.8 -8.2 6.3 1.9 4.6
2008 2.4 -6.8 12.7 7.8 -1.5 0.5 1.2 -1.7 6.6 8.9 -31.1 7.1 -2.4
2009 -4.7 -11 3.1 -3.1 3.9 1 1.8 -9.3 -8 -8.3 0.5 -1.1 -31
2010 2.8 0.5 1.6 -5 -4.3 -1.3 0 7.3 1.7 0.1 4 0.4 7.3
2011 3.7 -4 1.4 -0.3 -6.6 3.7 -0.7 -4 -6.5 -8.6 -1.4 -1.1 -22.7
2012 3.1 2.3 0.6 2 -7 4.9 -1.1 1.1 0.6 2.4 0 2.5 11.7
2013 2.5 0.5 -0.9 -2.1 -3 1.1 3 -1.2 1.8 0.6 -0.8 0.8 1.9
2014 -2.3 1.2 0.9 0.2 0.3 1.4 -1.3 0.8 -2.2 2.6 -1.7 -2.3 -2.4
2015 -2.7 -0.7 -0.2 1.3 0.4 2.6 -0.9 -6.6 0.5 -2.5 2.1 -1.8 -8.5
2016 -0.5 6.4 1.6 -1.3 0.5 -0.9 -0.4 -0.7 1.7 -1.7 1.4 0.8 6.9
2017 -0.4 4 -0.9 1.2 2.2 -0.3 1.4 0.7 0.5 0.2 0.2 -1 8
2018 1.1 -2.8 2.4 0.6 1.9 -0.1 0.5 0 -0.1 1.1 1.6 1.7 8.1
2019 0.9 0.9 3.4 -1.2 -2 1.6 -3.1 0.4 -3.2 2 -0.5 0.7 -0.4
2020 -4 -4.5 -11.8 -6.4 2.5 -0.2 -0.3 0.3 1.9 -0.2 2.6 2.1 -17.7
2021 3.2 4.8 -3.2 NA NA NA NA NA NA NA NA NA 4.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  119. SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02  120. SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05  120. SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-06  121. SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
5 2007-02-08  122. SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-09  119. SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart